567ce61e00
Located the source of the cutover non-finite: target_size = capital × fraction ×
leverage / price. notional (capital×fraction×leverage) is self-limiting (no division,
bounded by capital), so a non-finite size can only come from a corrupt raw input —
non-finite capital, or a price below the industry floor that overflows the division.
Guards in the PINK algo runner (pink_direct), per design review:
- _MIN_SANE_PRICE = 1e-8 industry-smallest-price floor.
- ENTER: _unsafe_entry_reason() rejects the OPEN (logs provenance, no trade) when
capital/leverage/size are non-finite/non-positive or price < floor. A corrupt sizing
input is an untrustworthy signal — don't open (nothing to strand).
- EXIT: _exit_intent_from_slot() sizes the close from the kernel's authoritative
slot.size (cap to remaining; full remaining if policy size malformed) — a bad-math
exit can never strand or overshoot a position. Falls back to policy size only when the
kernel reports no/unknown remaining size.
size semantics confirmed: base-asset QUANTITY; notional = size×price; margin = notional/
leverage ≈ 0.2×capital (already margin-bounded by construction — no extra clamp needed).
Tests: test_pink_sizing_guards.py (4) green; full offline suite 25 green (no regression).
Complements the kernel INVALID_INTENT guard (9168cf0): source refuses to produce bad
sizes; kernel rejects any that slip through.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
104 lines
4.5 KiB
Python
104 lines
4.5 KiB
Python
"""Source-level sizing guards in the PINK algo runner (pink_direct).
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notional = capital × fraction × leverage is self-limiting (no division); the
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only non-finite ingress is a corrupt raw input feeding size = notional / price.
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So:
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- ENTER: a non-finite capital or a price below the industry-smallest-price floor
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is an untrustworthy signal -> suppress the OPEN (never trade on bad math).
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- EXIT: size the close from the kernel's authoritative slot accounting, so a
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malformed policy size can neither strand a position nor overshoot it.
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"""
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from __future__ import annotations
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import asyncio
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from dataclasses import replace
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from datetime import datetime, timezone
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from prod.clean_arch.dita_v2 import (
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ExecutionKernel, InMemoryControlPlane, KernelCommandType, KernelControlSnapshot,
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KernelMode, KernelVerbosity, MemoryKernelJournal, MockVenueAdapter, MockVenueScenario,
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TradeSide,
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)
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from prod.clean_arch.dita_v2.contracts import KernelIntent
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from prod.clean_arch.dita import DecisionAction, DecisionConfig, DecisionEngine, IntentEngine
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from prod.clean_arch.runtime.pink_direct import PinkDirectRuntime, _MIN_SANE_PRICE
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from prod.clean_arch.ports.data_feed import DataFeedPort, MarketSnapshot
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class _StubFeed(DataFeedPort):
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async def connect(self): return True
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async def disconnect(self): pass
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async def get_latest_snapshot(self, symbol): return None
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async def subscribe_snapshots(self, callback): pass
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async def get_acb_update(self): return None
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def get_latency_ms(self): return 0.0
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def health_check(self): return True
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def _runtime(capital: float):
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kernel = ExecutionKernel(
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control_plane=InMemoryControlPlane(
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KernelControlSnapshot(mode=KernelMode.DEBUG, verbosity=KernelVerbosity.TRACE)
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),
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venue=MockVenueAdapter(MockVenueScenario(emit_fill_on_submit=True, partial_fill_ratio=1.0)),
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journal=MemoryKernelJournal(),
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)
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kernel.account.snapshot.capital = capital
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kernel.account.snapshot.peak_capital = capital if capital == capital else 25000.0
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kernel.account.snapshot.equity = capital
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cfg = DecisionConfig() # capital_fraction=0.20, allow_short=True, max_leverage=5
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runtime = PinkDirectRuntime(
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data_feed=_StubFeed(), kernel=kernel,
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decision_engine=DecisionEngine(cfg), intent_engine=IntentEngine(cfg),
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persistence=None, market_state_runtime=None,
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)
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return runtime, kernel
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def _enter_snap(price: float) -> MarketSnapshot:
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return MarketSnapshot(
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timestamp=datetime.now(timezone.utc), symbol="BTCUSDT", price=price,
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bid=price * 0.999, ask=price * 1.001, eigenvalues=[1.0],
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velocity_divergence=-0.05, irp_alignment=0.5, scan_number=1, source="test",
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)
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def test_enter_suppressed_on_nonfinite_capital():
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runtime, kernel = _runtime(float("inf"))
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decision = asyncio.run(runtime.step(_enter_snap(100.0)))
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assert decision.action == DecisionAction.ENTER # policy decided to enter
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assert kernel.slot(0).is_free(), "ENTER must be suppressed on non-finite capital"
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def test_enter_suppressed_on_subfloor_price():
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runtime, kernel = _runtime(25_000.0)
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decision = asyncio.run(runtime.step(_enter_snap(_MIN_SANE_PRICE / 100.0)))
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assert kernel.slot(0).is_free(), "ENTER must be suppressed on a sub-floor price"
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def test_enter_proceeds_on_sane_inputs():
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runtime, kernel = _runtime(25_000.0)
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decision = asyncio.run(runtime.step(_enter_snap(100.0)))
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assert decision.action == DecisionAction.ENTER
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assert not kernel.slot(0).is_free(), "sane ENTER must open a position"
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def test_exit_sizes_from_kernel_slot_accounting():
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runtime, kernel = _runtime(25_000.0)
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asyncio.run(runtime.step(_enter_snap(100.0))) # open a position
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slot_size = float(kernel.slot(0).size)
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assert slot_size > 0.0
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base = KernelIntent(
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timestamp=datetime.now(timezone.utc), intent_id="x", trade_id=kernel.slot(0).trade_id,
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slot_id=0, asset="BTCUSDT", side=TradeSide.SHORT, action=KernelCommandType.EXIT,
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reference_price=100.0, target_size=999.0, leverage=1.0, exit_leg_ratios=(1.0,), reason="X",
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)
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# Oversized policy size -> capped to the real remaining size.
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assert abs(runtime._exit_intent_from_slot(base).target_size - slot_size) < 1e-9
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# Non-finite policy size -> full remaining size (never strands).
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assert abs(runtime._exit_intent_from_slot(replace(base, target_size=float("inf"))).target_size - slot_size) < 1e-9
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# Valid partial -> respected.
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assert abs(runtime._exit_intent_from_slot(replace(base, target_size=slot_size * 0.5)).target_size - slot_size * 0.5) < 1e-9
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